Given a proposed trade to a target optimal portfolio from current non-optimal holdings within an asset universe and estimates and/or forecasts of mean and variance, there exists a frontier ranging from the current holdings to the target portfolio that simultaneously minimizes turnover from holdings and tracking error from the target portfolio. The constraints from the optimization that formed the target naturally apply to this frontier. The pivot portfolios on this frontier break the proposed trade into parts, often consisting of many fewer asset trades than the whole portfolio trade would imply. The first trades on this sequence often greatly reduce the tracking error with far less turnover than the entire trade. Paired with Michaud optimization and rebalance tests, a stopping point can be determined such that the traded portfolio, while not the optimal portfolio, is statistically optimal, and incurs far less turnover. Commercial software to evaluate the best trade on this frontier is available from New Frontier Advisors, and is U. S. patent pending.6:45 – 7:00 Refreshment and Networking Break

Dr. David N. Esch, Managing Director of Research, New Frontier AdvisorsDr. David N. Esch is currently Managing Director of Research at New Frontier Advisors, having joined the firm in 2008. He completed his Ph.D. in Statistics at Harvard University in 2004. His specialties include mathematical statistics, numerical analysis and computation, Bayesian statistics, and econometrics. He is author of the article “Non Normality Facts and Fallacies,” (Journal Of Investment Management 1st Quarter 2010), selected as one of the best JOIM papers of 2010, and co-author of many other peer-reviewed journal articles. His educational background also includes a Bachelor of Arts degree from Harvard College and a Masters degree in Mathematics and Statistics from Boston University.

Julie Abbett, Executive Director, JP Morgan Chase & Co.Julie focuses on building out JPM’s ETF execution sales model through strategic partnership with the key clients within the ETF landscape. Prior, Julie was at Deutsche Bank where she headed up the ETF execution Sales effort covering the RIAs, ETF Portfolio Managers and traditional asset manager clients.
Prior to Deutsche Bank, Julie was Senior Vice President and Head of Portfolio Management at IndexIQ running a suite of liquid alternative exchange traded funds. Before IndexIQ, Julie was a Quantitative Equity Portfolio Manager at Deutsche Asset Management (DeAM)/DB Advisors for over 9 years.

Speaker Bio

The Speaker: Julie Abbett, Executive Director, JP Morgan Chase & Co.

Julie Abbett, Executive Director, JP Morgan Chase & Co.

Julie focuses on building out JPM’s ETF execution sales model through strategic partnership with the key clients within the ETF landscape. Prior, Julie was at Deutsche Bank where she headed up the ETF execution Sales effort covering the RIAs, ETF Portfolio Managers and traditional asset manager clients.
Prior to Deutsche Bank, Julie was Senior Vice President and Head of Portfolio Management at IndexIQ running a suite of liquid alternative exchange traded funds. Before IndexIQ, Julie was a Quantitative Equity Portfolio Manager at Deutsche Asset Management (DeAM)/DB Advisors for over 9 years.